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Comparative statics under risk aversion and prudence.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Comparative statics under risk aversion and prudence./
作者:	Ryu, Suyeol.
面頁冊數:	1 online resource (108 pages)
附註:	Source: Dissertations Abstracts International, Volume: 63-12, Section: A.
Contained By:	Dissertations Abstracts International63-12A.
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3036743click for full text (PQDT)
ISBN:	9780493500409

Comparative statics under risk aversion and prudence.
Ryu, Suyeol.

Comparative statics under risk aversion and prudence. - 1 online resource (108 pages)

Source: Dissertations Abstracts International, Volume: 63-12, Section: A.

Thesis (Ph.D.)--Michigan State University, 2001.

Includes bibliographical references

An economic decision model with randomness consists of the following four components: a set of decision makers, an objective function, random exogenous parameters and choice variables. An important comparative static question in the study of decision under uncertainty is how to predict the direction of change for a choice variable selected by the decision maker when a given random parameter changes. This general comparative static analysis is carried out by restricting the following three components: (i) the changes in probability distribution function (PDF) or cumulative distribution function (CDF) of the random parameter, and/or (ii) the set of decision makers, and/or (iii) the structure of the economic decision model. Our study focuses on finding sufficient conditions (or a necessary condition) on the change in distribution of the random parameter that cause risk averse decision makers with u'" ≥ 0 to adjust their choice variable in the same direction in a general decision model. Therefore all the comparative statics results obtained in this dissertation are associated with the set of risk averse individuals with a non-negative third derivative of their utility function. This set includes utility functions representing quite plausible preferences, such as the ones exhibiting decreasing absolute risk aversion (DARA) generally accepted as a reasonable attitude toward risk. This class of utility functions also includes the concept of 'prudence' (η = −u'" /u") introduced by Kimball (1992), which denotes a precautionary saving motive. This study deals with two particular types of R-S increases in risk with single crossing and three types of R-S increases in risk with multiple crossing in chapter 3, and three types of K-L increases in risk in chapter 4. For each given type of change in the random parameter, we developed conditions on the class of decision makers and the structure of the decision model that are sufficient for making a general comparative static statement. In these chapters, we use the traditional approach that restricts separately the changes in PDF or CDF and the structure of the given decision model for comparative static purposes. However Gollier (1995) restricts two components jointly with a single restriction to obtain a general comparative static statement. In chapter 5, following his technique, we deal with the problem of determining the conditions under which a change in distribution of the random parameter increases the optimal value of a decision variable for the set of risk averse individuals with u'" > 0, which was done before by Gollier (1995) for all risk averse individuals.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2023

Mode of access: World Wide Web

ISBN: 9780493500409Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Comparative staticsIndex Terms--Genre/Form:

542853
Electronic books.

Comparative statics under risk aversion and prudence.
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504 $a Includes bibliographical references
520 $a An economic decision model with randomness consists of the following four components: a set of decision makers, an objective function, random exogenous parameters and choice variables. An important comparative static question in the study of decision under uncertainty is how to predict the direction of change for a choice variable selected by the decision maker when a given random parameter changes. This general comparative static analysis is carried out by restricting the following three components: (i) the changes in probability distribution function (PDF) or cumulative distribution function (CDF) of the random parameter, and/or (ii) the set of decision makers, and/or (iii) the structure of the economic decision model. Our study focuses on finding sufficient conditions (or a necessary condition) on the change in distribution of the random parameter that cause risk averse decision makers with u'" ≥ 0 to adjust their choice variable in the same direction in a general decision model. Therefore all the comparative statics results obtained in this dissertation are associated with the set of risk averse individuals with a non-negative third derivative of their utility function. This set includes utility functions representing quite plausible preferences, such as the ones exhibiting decreasing absolute risk aversion (DARA) generally accepted as a reasonable attitude toward risk. This class of utility functions also includes the concept of 'prudence' (η = −u'" /u") introduced by Kimball (1992), which denotes a precautionary saving motive. This study deals with two particular types of R-S increases in risk with single crossing and three types of R-S increases in risk with multiple crossing in chapter 3, and three types of K-L increases in risk in chapter 4. For each given type of change in the random parameter, we developed conditions on the class of decision makers and the structure of the decision model that are sufficient for making a general comparative static statement. In these chapters, we use the traditional approach that restricts separately the changes in PDF or CDF and the structure of the given decision model for comparative static purposes. However Gollier (1995) restricts two components jointly with a single restriction to obtain a general comparative static statement. In chapter 5, following his technique, we deal with the problem of determining the conditions under which a change in distribution of the random parameter increases the optimal value of a decision variable for the set of risk averse individuals with u'" > 0, which was done before by Gollier (1995) for all risk averse individuals.
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